I am using "Multivariate PSRF" statistics from
gelman.diag() function to analyze my MCMC chains. Now I analyzed convergence 471 variables (parameters for each site).
- How is it possible that "Multivariate PSRF" says 1.248096, when psrf for each of 471 sites ranges from 0.9996 to 1.012 max? Psrf CI is 1.044 max!
- It seems Multivariate PSRF grows with the number of variables, which is definitely not desired of convergence assessment.
I think I can safely say that the model converged, but the Multivariate PSRF suggests otherwise... so is it computed wrong or something?